Probabilistic solution of the homogeneous Riccati differential equation: a case-study by using linearization and transformation techniques

DOI10.1016/J.CAM.2014.11.028MaRDI QIDQ491004zbMATHOpenAlexFDO

Authors A. Navarro-Quiles, M.-C. Casabán, Juan Cortés, J.-V. Romero, M.-D. Roselló, R.-J. Villanueva

Publication date 24 August 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.11.028

zbMATH Keywords

first probability density functionrandom variable transformation techniquerandom Riccati differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited in

(8)

• Editorial: Mathematical modeling and computational methods
• Uncertainty quantification analysis of the biological Gompertz model subject to random fluctuations in all its parameters
• Analytic and numerical solutions of a Riccati differential equation with random coefficients
• Modification of the random differential transformation method and its applications to compartmental models
• Computing probabilistic solutions of the Bernoulli random differential equation
• Folding domain functions (FDF): a random variable transformation technique for the non-invertible case, with applications to RDEs
• A numerical modeling and its computational implementing simulation for generating distributions of the complicated random variable transformations with applications
• Determining the first probability density function of linear random initial value problems by the random variable transformation (RVT) technique: a comprehensive study

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